Credit Suisse plans contingent coupon autocallables on Russell, S&P

By Angela McDaniels

Tacoma, Wash., Sept. 12 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due March 23, 2018 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon unless either index closes below its knock-in level, 65% of its initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 5.3% per year and will be set at pricing.

The notes will be automatically called at par if each index closes at or above its initial index level on any quarterly observation date.

The payout at maturity will be par unless either index closes below its knock-in level on any day during the life of the notes, in which case the payout at maturity will be par plus the return of the lesser-performing index, subject to a maximum payout of par.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price Sept. 20.

The Cusip number is 22548QHF5.

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